Calculate performance metrics using van Tharp R values

[[email protected]]

I would like to calculate performance metrics using van Tharp R values but I see know way to feed that to a performance metric since that only takes a trade as a parameter to the OnAddTrade function with the signature:

protected override void OnAddTrade(Cbi.Trade trade)

How should I implement this best. Can we inherit from the Trade class to add custom values?

[NinjaTrader_MichaelM]

Hello [email protected],

Thank you for writing in. I will investigate this matter and update you as soon as possible.

Thank you for your continued patience in the meantime.

[NinjaTrader_MichaelM]

Hello [email protected],

Could you please let me know what information is necessary to calculate your performance metric that is not available in the trade object?

I am not particularly familiar with the Van Tharp R system but it appears the necessary variables are already contained in the Trade object that gets passed to OnAddTrade().

Thank you in advance.

[[email protected]]

Hi. I am using a volatility based sizing algorithm, and my Risk (R) is defined by my protective stop, which is typically 3 x ATR. Obviously, ATR will vary but R will be derived from ATR at the time of entry execution. If I can pass that in, I can calculate a custom perf metric by calculating profit in terms of R.

Thanks

[Jellybean]

Hi

If Van Tharp's R-multiple was to be implemented as a trade performance metric it would need to be more generic than just using an indicator value, I think. People set their risk (stop loss) many different ways.

The R value is trade profit / risk and can be expressed as:
R = (exit price - entry price) / (entry price - initial stop loss price)
or in pips or in points.

Normally trading trade results are 'unaware' of where the initial stop loss is, and I think that's why platforms don't implement it. The trade object would need a way of knowing what the initial stop loss was.

Perhaps, there could be a facility to associate a risk value (pips, currency, points, etc.) to the trade.

For what it's worth, I've handled this in the strategy, because it's the strategy that knows where the stop loss is. I've written the strategy to write trade results, initial risk, R-multiples, expectancy and standard deviation of R-multiple to a csv file for further analysis in a spreadsheet.

Cheers
Tony

[NinjaTrader_MichaelM]

Hello [email protected],

I have submitted a feature request on your behalf for the Cbi.Trade objects to have additional properties to allow passing of custom values. I will update this post when I have further information.

Thank you for your continued patience in the meantime.